High energy density in matter is of fundamental interest for various fields of science, including plasma physics, astrophysics, geophysics and applications such as possible future energy sources based on inertial confinement fusion. Intense, relativistic heavy ion beams are ideally suited to produce high energy density in matter. The heavy ion synchrotron SIS-18 at the Gesellschaft fuer Schwerionenforschung (GSI) can supply intense ion beam bunches, of about 5 109 particles for U92+, delivered in 550 ns long pulses. This leads to a specific energy deposition of about 1 kJ/g in solid matter which creates solid density plasmas at relatively low temperatures (~1 eV). The ion beam driven pressures of up to 100 kbar generate weak shock waves that compress solid matter to a density ratio of up to 1.1. The main subject of the work presented in this thesis is an experimental study of heavy ion generated shock waves in solid targets and investigations of the properties of the compressed material. In these experiments a multi-layered target was used, consisting of a solid metal (Al, Cu, Fe or Pb) followed by a transparent material (plexiglass) and a confiner plate made of Al. The thickness of the metal layer was chosen such that the entire beam was stopped in this layer and high pressure was generated in the beam deposition region. This high pressure launched a shock wave that travelled into the plexiglass layer which, due to its transparency, served as a diagnostic window. A number of different diagnostic methods were developed to measure the stress induced by the heavy ions in targets, used to achieve cold compression. During an experiment with a Kr ion beam, shock velocities were measured for the first time by one- and two-dimensional schlieren techniques, which allow a good visualization of the multiple- and reflected shock waves. For pressures of up to 15 kbar, shock velocities in plexiglass of about 3.5 km/s were determined, a value which is above the sound velocity of this material (2.6 km/s). The parameters measured for different metallic absorbents, i.e. Cu, Fe and Pb were in good agreement with theoretical values given by a 2D hydro-code. An increase of temperature in the plexiglass of only 4 K during the compression process was found. The same type of solid target in combination with other ion beams (U or Au) were investigated by imaging interferometric techniques and the pressures were directly measured by using calibrated piezo-electric gauges. The data resulting from the interferometric and the laser deflection determinations of refractive index gradients were compared and they showed a good agreement. Useful informations about the hydrodynamical expansion of the heated matter were obtained by backlighting shadowgraphic recordings, performed time- and space resolved. Velocities of several hundreds of m/s were determined. Besides metallic targets, rare-gas cryogenic crystals were also studied, both by shadowgraphy and time-resolved spectroscopy in visible and vacuum-ultraviolet (VUV) regions. The experiments described hereby provide details about the material compressed by multiple-weak shock waves and can be useful in understanding the cold compression of matter scheme, in the heavy-ion beam driver approach. They also constitute a benchmark tool for simulation codes and equation-of- state (EOS) tables. Based on these observations, a further development of experimental methods can be achieved to investigate the compression of matter with higher intensities and deposition power delivered by future heavy ion beams.